Stochastic Integrals Driven by Isonormal Gaussian Processes and Applications Master Thesis - Petr Čoupek Abstract In this thesis, we introduce a stochastic integral of deterministic Hilbert space valued functions driven by a Gaussian process of the Volterra form βt = t 0 K(t, s)dWs, where W is a Brownian motion and K is a square integrable kernel. Such processes generalize the fractional Brownian motion BH of Hurst parameter H ∈ (0, 1). Two sets of conditions on the kernel K are introduced, the singular case and the regular case, and, in particular, the regular case is studied. The main result is that the space H of β-integrable functions can be, in the strictly regular case, embedded in L 2 1+2α ([0, T]; V ) which corresponds to the space L 1 H ([0, T]) for the fractional Brownian mo- tion. Further, the cylindrical Gaussian Volterra process is introduced and a stochastic integral of deterministic operator-valued functions, driven by this process, is defined. These results are used in the theory of stochastic differential equations (SDE), in particular, measurability of a mild solution of a given SDE is proven.
| Identifer | oai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:328307 |
| Date | January 2013 |
| Creators | Čoupek, Petr |
| Contributors | Maslowski, Bohdan, Dostál, Petr |
| Source Sets | Czech ETDs |
| Language | English |
| Detected Language | English |
| Type | info:eu-repo/semantics/masterThesis |
| Rights | info:eu-repo/semantics/restrictedAccess |
Page generated in 0.0018 seconds